DirtBiker

If the conductors are not double insulated (like Romex) and within the walls of house, #14 wire is actually rated at closer to 30 amps. For 40 amps over short runs you could theoretically get by with #12 wire, but for sufficient safety margin, I'd go with #10 at least.

DirtBiker

Um. Are you actually allowed to use not-double-insulated wire in your house these days (I guess the answer depends on where you live...)

I think only if it is in an approved conduit or cabinet (or wiring box). I think it's the same up in Canada. My brother in law is an electrician in Ontario. According to him the US and Canada have basically the same rules.

What is the voltage driving the 40a? if it is low like 12v, then look to the automotive world for gizmos like below. Depending on the driving voltage, you should be able to make a shunt that would be optimized for the power that will be disipated and still with a decent measurable voltage drop across it. Also, what is the gizmo thru which the current is to flow (assuming you are not doing a dead short smoke test)?